Risks Measurement and Analysis of Shanghai Stock Market Index Based on GARCH-VaR Model
Journal Title: Scholars Journal of Economics, Business and Management - Year 2015, Vol 2, Issue 10
Abstract
Abstract: This paper adopts conditional heteroscedasticity of GARCH and variance-covariance of VaR calculation method to measure VaR. This paper builts through rate of monthly return in Shanghai stock market within ten years. EGARCH-GED Model is selected to calculate VaR value at risks of Shanghai stock market under three confidence levels such as 90%, 95% and 99%. Keywords: VaR , GARCH Model, Shanghai Composite Index
Authors and Affiliations
Yuxue Wang, Jingwen Zhang
Keywords
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- EP ID EP386915
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